Parameter estimation of stochastic differential equation

MaRDI QIDQ2837048zbMATH OpenFDO

Authors Arifah Bahar, Madihah Md. Salleh, Norhayati Rosli, Haliza Abd. Rahman

Publication date 10 July 2013

Published in Sains Malaysiana (Search for Journal in Brave)

zbMATH Keywords

Bayesian approachparameter estimationregression splinestochastic differential equationtruncated power series basis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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Cited in

(7)

• Estimation of parameters of one stochastic differential equation
• Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
• scientific article; zbMATH DE number 6831170 (Why is no real title available?)
• Estimation of the parameters in stochastic differential equations
• Estimating the parameters of stochastic differential equations using a criterion function
• Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion
• A genetic estimation algorithm for parameters of stochastic ordinary differential equations

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